Symmetrization associated with hyperbolic reflection principle
Tóm tắt
In this paper, in view of application to pricing of Barrier options under a stochastic volatility model, we study a reflection principle for the hyperbolic Brownian motion, and introduce a hyperbolic version of Imamura-Ishigaki-Okumura’s symmetrization. Some results of numerical experiments, which imply the efficiency of the numerical scheme based on the symmetrization, are given.
Từ khóa
Tài liệu tham khảo
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